In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of … collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) models are … surfaces. Finally, the effect of asymmetry is shown by the difference between the symmetric and asymmetric GARCH option price …

In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models … effects into account. Furthermore, the accuracy of the GARCH option pricing model applied to Bitcoin is tested. Empirical … consistent with findings in the literature. In addition, the GARCH option pricing model provides realistic price discovery within …